Thanks for reaching out. At the moment there’s no way to modify the headers of the email sent by our built-in step. But it’s not a bad idea. I’ll mention it to the team and see if we can at least consider it for our backlog or Uservoice.
For the time being, the only workaround I can think of is to stop using the built-in email step, and instead use a custom step template that uses powershell/.NET to send the mail message. This way you should have a lot more control over your mail’s headers (I believe. Haven’t tested it).